Quantitative Risk Senior Analyst, Senior Vice President
GRZYBOWSKA 60, Poland
PLN 182K-182K (estimate) Senior-level Full Time
Tasks
- Build diagnostic tools for model testing
- Calibrate counterparty credit risk models
- Conduct quantitative analysis for regulators and senior management
- Coordinate with Risk IT for model implementation testing
- Create model documentation and mathematical derivations
- Develop counterparty credit risk covariance matrices
- Develop model robustness stability reliability performance testing
- Identify stress periods
- Implement data quality control for modeling data
- Manage day to day team processes and tasks
- Perform impact analysis of covariance changes
- Prepare UAT releases for covariance matrices
- Produce model documentation and coordinate project plans
- Run simulation models for counterparty credit risk
- Train team members on models and processes
Perks/Benefits
Skills/Tech-stack
Basel | Counterparty Credit Risk | Covariance Matrices | Credit Risk | Data Analysis | Data Quality | Data Visualization | Data quality control | Derivatives | Model calibration | Numerical analysis | Probability | Python | Quality Control | SQL | Simulation Modeling | Statistics | Stochastic Calculus | Stress Testing
Education
Roles
Analyst | Developer | Model Developer | Quantitative Risk Analyst | Risk Analyst
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